Browsing by Author "Benschop, Thijs"

Now showing items 1-4 of 4

2017-02-10Diskussionspapier

FRM: a Financial Risk Meter based on penalizing tail events occurrence

Yu, Lining; Härdle, Wolfgang Karl; Borke, Lukas; Benschop, Thijs

In this paper we propose a new measure for systemic risk: the Financial Risk Meter (FRM). This measure is based on the penalization parameter (Lambda) of a linear quantile lasso regression. The FRM is calculated by taking ...
2017-11-06Zeitschriftenartikel

Realized volatility of CO2 futures

Benschop, Thijs; López-Cabrera, Brenda

The EU Emission Trading System (EU ETS) was created to reduce the CO2 and other greenhouse gas emissions at the lowest economic cost. In reality market participants are faced with considerable uncertainty due to price ...
2014-09-19Buch

Volatility Modelling of CO2 Emission Allowance Spot Prices with Regime-Switching GARCH Models

Benschop, Thijs; Cabrera, Brenda López

We analyse the short-term spot price of European Union Allowances (EUAs), which is of particular importance in the transition of energy markets and for the development of new risk management strategies. Due to the ...
2013-03-04Masterarbeit

Volatility modelling of CO2 spot prices

Benschop, Thijs

In this paper we analyse the short-term spot price of European Union Allowances (EUAs), which is of particular importance in the transition of energy markets and for the development of new risk management strategies. We ...